Testing the Predictive Power of Dividend Yields
AbstractThis paper reexamines the ability of dividend yields to predict long-horizon stock returns. The authors use the bootstrap methodology, as well as simulations, to examine the distribution of test statistics under the null hypothesis of no forecasting ability. These experiments are constructed so as to maintain the dynamics of regressions with lagged dependent variables over long horizons. They find that the empirically observed statistics are well within the 95 percent bounds of their simulated distributions. Overall there is no strong statistical evidence indicating that dividend yields can be used to forecast stock returns. Copyright 1993 by American Finance Association.
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Bibliographic InfoPaper provided by Columbia - Graduate School of Business in its series Papers with number 93-03.
Length: 22 pages
Date of creation: 1992
Date of revision:
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stock market ; financial aspects;
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